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    Mar 20, 2012, 12:46 PM
    Implied interest rate
    What is the implied interest rate yield on a Treasury Bond ($100,000) futures contract that settled at 100’24 (or 100 24/32)? If interest rates increased by 0.75%, what would be the contract’s new value?

    Assume that this is based on 20 Years, with an annual yield of 8%, with semi-annual payments.

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